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Testing The Structure Of Conditional Correlations In Multivariate Garch Models: A Generalized Cross‐Spectrum Approach

  • Nadine McCloud
  • Yongmiao Hong

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Article provided by Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association in its journal International Economic Review.

Volume (Year): 52 (2011)
Issue (Month): 4 (November)
Pages: 991-1037

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Handle: RePEc:ier:iecrev:v:52:y:2011:i:4:p:991-1037
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